基于信息准则的连涨连跌收益率变结构研究

发布时间：2018-07-10 07:23

本文选题：Schwarz信息准则 + 连涨连跌收益率　；参考：《合肥工业大学》2016年硕士论文

【摘要】：变点问题作为统计推断的一个重要方向,正在受到越来越广泛的关注与研究。随着对变点问题理论研究的不断深入,变点问题的应用研究也得到了极大的扩展。变点问题不仅应用于工业中的质量检测问题,已经扩展到气象、金融、计算机等领域中,得到了许多研究成果。变点问题在金融领域有许多应用,例如金融危机传染的研究、股市波动率变化的影响、股市政策效应的研究等。本文主要针对变点问题在股票市场收益率问题方面进行分析。研究的对象为股票的连涨连跌收益率,与股票的日收益率不同,连涨连跌收益率揭示了关于收益率涨与跌的一些结论。全文内容安排如下,共分四章进行介绍。第一章主要介绍了变点问题的研究现状与变点问题在金融领域的一些研究成果,并阐述了本文采用连涨连跌收益率并结合信息准则,进行变点统计推断的原因与研究目的。第二章主要介绍了Schwarz信息准则(SIC)的相关内容,以及连涨连跌收益率能采用SIC进行变点推断的原理与方法。连涨连跌收益率服从Gamma分布,采用SIC方法可以快速准确的进行变点检测第三章主要为实证研究,详细介绍了采用SIC对中国上证综指1992.5.21至2015.5.31这段时间内的连涨连跌收益率的变点分析。通过对连涨收益率与连跌收益率的变点位置与实际相结合,研究了影响中国股市变化的政策原因；并通过分析连涨连跌收益率变点位置的不对称性,得出连涨连跌收益率之间有着复杂的相关关系,表明中国股市不符合有效市场假说的,关于收益率的随机游动假说。第四章为结论,总结了本文的主要内容,并对本文的不足与有待加强研究的部分进行了总结。
[Abstract]:As an important direction of statistical inference, change point problem is receiving more and more attention and research. With the deepening of the theoretical research on the change point problem, the applied research of the change point problem has been greatly expanded. The change point problem is not only applied to the problem of quality detection in industry, but also has been extended to the fields of meteorology, finance, computer and so on, and many research results have been obtained. The change point problem has many applications in the field of finance, such as the study of financial crisis contagion, the influence of stock market volatility change, the research of stock market policy effect, and so on. In this paper, the change point problem in the stock market return problem is analyzed. The object of this study is the continuous rise and fall rate of stock, which is different from the daily yield of stock. The return rate of continuous rise and fall reveals some conclusions about the rise and fall of yield. The content of this paper is arranged as follows, which is divided into four chapters. The first chapter mainly introduces the current research situation of the change point problem and some research results of the change point problem in the field of finance, and expounds the reason and research purpose of the statistical inference of the change point in this paper, which adopts the rate of return of continuous rise and fall and combines with the information criterion. The second chapter mainly introduces the Schwarz Information Criterion (sic) and the principle and method of variable point inference by sic. According to Gamma distribution, we can use sic method to detect change point quickly and accurately. Chapter three is mainly empirical research. This paper introduces in detail the variation point analysis of the continuous rise and fall yield of the Shanghai Composite Index between May 21, 1992.21 and May 31, 2015 by sic. By combining the position of the change point of the continuous rise rate and the continuous fall rate with the reality, this paper studies the policy reasons that affect the change of the Chinese stock market, and analyzes the asymmetry of the position of the change point position of the successive rise, continuous fall rate of return. It is concluded that there is a complex correlation between the yield and the return, which indicates that the Chinese stock market does not accord with the efficient market hypothesis, the random walk hypothesis about the return. The fourth chapter is the conclusion, summarizes the main contents of this paper, and summarizes the deficiency of this paper and the part to be strengthened.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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